Having seen his side beaten in the semifinals of the 2019 Rugby World Cup and then in the playoff for third and fourth, Gatland, (pictured by the gate named in his honour at Millennium Stadium) who arrives back in New Zealand this week to take up the coaching of the Chiefs, could only mask any disappointment he may have felt by noting, "One of the enduring characteristics of this team over the last few years is our complete refusal to give up.
"We never, ever give up," he said.
Wales had good cause to feel confident that they had the chance to provide Gatland with a stellar finish to his connection with the side. They should have been finalists in 2011 but lost skipper Sam Warburton to a red card early in their semi final with France.
They knocked England out of their own World Cup in 2015, with Australia's pool play assistance, although they went down to South Africa in their quarterfinal at the same tournament 19-23.
In the years leading into 2019 they had built a strong record but ultimately it was a bridge too far.
Gatland in his eminently readable autobiography, Pride and Passion: My Autobiography, skilfully crafted by former Independent rugby writer Chris Hewett, could only watch as firstly All Black Ben Smith scored two tries in his grand hurrah while Sonny Bill Williams unleashed his best game for some time to get the All Blacks out to a 35-10 lead.
Wales could have succumbed at that stage, early in the second half. But they hung in there and held the All Blacks to 17-40 at the end.
"As Alun Wyn [Jones] says to me when I join him on the field, it would have been a whole lot worse but for the spirit in our team. Sonny Bill walks across to me and, out of the blue, shakes me by the hand and says: 'Warren, I have a huge amount of respect for you as a coach.' I thank him for his kind words," Gatland said.
Then, in the dressing rooms afterwards, the two sides mingled and the mutual respect was reflected in their respective actions, something that doesn't happen too often, he said.
Gatland's international connection didn't end with the loss, he has a duty with the British & Irish Lions in South Africa in 2021.
But his story of his time in Welsh rugby, which had been turbulent in the years before he arrived, is captured in a compelling story whereby the inner politics that can provide unwanted distractions for coaches were put aside for the betterment of the side, so far as the public could see. So, too, is his involvement in three Lions tours.
It is clear Gatland left Wales rugby in a far better state than he found it. But that should be no surprise given the rugby journey he had been on.
Taken through his playing career and then on through his rise through the coaching ranks, his is a story of disappointments being overcome and triumph in the end. There may have been pain at never playing a Test while Sean Fitzpatrick ruled the roost, and there was certainly frustration at the way he was handled after coming to Ireland's aid at short notice.
One story that raised a laugh was when he was on tour with the All Blacks and they played the Barbarians in 1989. Gatland was talking with teammate Ron Williams when approached by coach Grizz Wyllie, who he had learned a lot from, with his formidable finger doing some chest prodding as he asked: 'Warren, were you ready today?'
"I wasn't quite on his wavelength. 'Eh?'
'Were you ready today?'
'Ummm…why should I have been?' By now I had cottoned on and was keen to string him along.
'Because Fitzy got injured and we had to wrap a bandage around his head. So were you ready?'
'No, Grizz, I wasn't.'
'Whaddya mean, no? Why the hell not?'
'Because, Grizz, you didn't pick me on the bench.'
But in the end Gatland rose above all the vicissitudes and if his Wales side never managed to add the All Blacks to their list of victories – the only side they couldn't beat – he did manage to share a British & Irish Lions series with them in 2017. Some of the pain of that series and the treatment he received from the New Zealand Herald especially is outlined in his story.
No matter the injury intended by the newspaper, Gatland had the last laugh by seeing his side achieve the second best series result the Lions had managed in New Zealand.
Gatland has plenty to offer in the next phase of his coaching career and his story is well worth the reading.